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Affine processes on positive semidefinite matrices

Citations

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Cited by:

  1. Raj Kumari Bahl & Sotirios Sabanis, 2017. "General Price Bounds for Guaranteed Annuity Options," Papers 1707.00807, arXiv.org.
  2. Richter, Anja, 2014. "Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models," Stochastic Processes and their Applications, Elsevier, vol. 124(11), pages 3578-3611.
  3. Ahdida, Abdelkoddousse & Alfonsi, Aurélien, 2013. "A mean-reverting SDE on correlation matrices," Stochastic Processes and their Applications, Elsevier, vol. 123(4), pages 1472-1520.
  4. Christa Cuchiero & Josef Teichmann, 2011. "Path properties and regularity of affine processes on general state spaces," Papers 1107.1607, arXiv.org, revised Jan 2013.
  5. Chulmin Kang & Wanmo Kang & Jong Mun Lee, 2017. "Exact Simulation of the Wishart Multidimensional Stochastic Volatility Model," Operations Research, INFORMS, vol. 65(5), pages 1190-1206, October.
  6. Harms, Philipp & Stefanovits, David, 2019. "Affine representations of fractional processes with applications in mathematical finance," Stochastic Processes and their Applications, Elsevier, vol. 129(4), pages 1185-1228.
  7. Ackermann, Julia & Kruse, Thomas & Overbeck, Ludger, 2022. "Inhomogeneous affine Volterra processes," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 250-279.
  8. Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2019. "Affine multiple yield curve models," Mathematical Finance, Wiley Blackwell, vol. 29(2), pages 568-611, April.
  9. Christa Cuchiero & Francesco Guida & Luca di Persio & Sara Svaluto-Ferro, 2021. "Measure-valued affine and polynomial diffusions," Papers 2112.15129, arXiv.org.
  10. Deelstra, Griselda & Grasselli, Martino & Van Weverberg, Christopher, 2016. "The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 205-219.
  11. Cuchiero, Christa & Teichmann, Josef, 2015. "Fourier transform methods for pathwise covariance estimation in the presence of jumps," Stochastic Processes and their Applications, Elsevier, vol. 125(1), pages 116-160.
  12. Cox, Sonja & Karbach, Sven & Khedher, Asma, 2022. "Affine pure-jump processes on positive Hilbert–Schmidt operators," Stochastic Processes and their Applications, Elsevier, vol. 151(C), pages 191-229.
  13. Martin Friesen & Sven Karbach, 2024. "Stationary covariance regime for affine stochastic covariance models in Hilbert spaces," Finance and Stochastics, Springer, vol. 28(4), pages 1077-1116, October.
  14. Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2016. "A general HJM framework for multiple yield curve modelling," Finance and Stochastics, Springer, vol. 20(2), pages 267-320, April.
  15. Mayerhofer, Eberhard, 2013. "On the existence of non-central Wishart distributions," Journal of Multivariate Analysis, Elsevier, vol. 114(C), pages 448-456.
  16. Kurt, Kevin & Frey, Rüdiger, 2022. "Markov-modulated affine processes," Stochastic Processes and their Applications, Elsevier, vol. 153(C), pages 391-422.
  17. Eduardo Abi Jaber, 2022. "The Laplace transform of the integrated Volterra Wishart process," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02367200, HAL.
  18. Sebastien Valeyre, 2020. "Refined model of the covariance/correlation matrix between securities," Papers 2001.08911, arXiv.org.
  19. repec:uts:finphd:41 is not listed on IDEAS
  20. Graczyk, Piotr & Małecki, Jacek & Mayerhofer, Eberhard, 2018. "A characterization of Wishart processes and Wishart distributions," Stochastic Processes and their Applications, Elsevier, vol. 128(4), pages 1386-1404.
  21. Martin Keller-Ressel & Thorsten Schmidt & Robert Wardenga, 2018. "Affine processes beyond stochastic continuity," Papers 1804.07556, arXiv.org, revised Dec 2018.
  22. Carlos G. Pacheco, 2016. "Picard Iterations for Diffusions on Symmetric Matrices," Journal of Theoretical Probability, Springer, vol. 29(4), pages 1444-1457, December.
  23. Claudio Fontana, 2022. "Caplet pricing in affine models for alternative risk-free rates," Papers 2202.09116, arXiv.org, revised Jan 2023.
  24. Aur'elien Alfonsi & David Krief & Peter Tankov, 2018. "Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing," Papers 1806.06883, arXiv.org.
  25. Mohamed Ben Alaya & Ahmed Kebaier & Ngoc Khue Tran, 2020. "Local asymptotic properties for Cox‐Ingersoll‐Ross process with discrete observations," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(4), pages 1401-1464, December.
  26. Eduardo Abi Jaber, 2019. "The Laplace transform of the integrated Volterra Wishart process," Papers 1911.07719, arXiv.org, revised Jul 2024.
  27. Chiarella, Carl & Hsiao, Chih-Ying & Tô, Thuy-Duong, 2016. "Stochastic correlation and risk premia in term structure models," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 59-78.
  28. Christa Cuchiero & Luca Di Persio & Francesco Guida & Sara Svaluto-Ferro, 2022. "Measure-valued processes for energy markets," Papers 2210.09331, arXiv.org.
  29. Mayerhofer, Eberhard & Pfaffel, Oliver & Stelzer, Robert, 2011. "On strong solutions for positive definite jump diffusions," Stochastic Processes and their Applications, Elsevier, vol. 121(9), pages 2072-2086, September.
  30. Eduardo Abi Jaber, 2022. "The Laplace transform of the integrated Volterra Wishart process," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 309-348, January.
  31. Bondi, Alessandro & Livieri, Giulia & Pulido, Sergio, 2024. "Affine Volterra processes with jumps," Stochastic Processes and their Applications, Elsevier, vol. 168(C).
  32. Chiarella, Carl & Da Fonseca, José & Grasselli, Martino, 2014. "Pricing range notes within Wishart affine models," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 193-203.
  33. Da Fonseca, José, 2016. "On moment non-explosions for Wishart-based stochastic volatility models," European Journal of Operational Research, Elsevier, vol. 254(3), pages 889-894.
  34. Alfeus, Mesias & Grasselli, Martino & Schlögl, Erik, 2020. "A consistent stochastic model of the term structure of interest rates for multiple tenors," Journal of Economic Dynamics and Control, Elsevier, vol. 114(C).
  35. Branger, Nicole & Muck, Matthias & Seifried, Frank Thomas & Weisheit, Stefan, 2017. "Optimal portfolios when variances and covariances can jump," Journal of Economic Dynamics and Control, Elsevier, vol. 85(C), pages 59-89.
  36. Mesias Alfeus, 2019. "Stochastic Modelling of New Phenomena in Financial Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2019, January-A.
  37. Abdelkoddousse Ahdida & Aur'elien Alfonsi & Ernesto Palidda, 2014. "Smile with the Gaussian term structure model," Papers 1412.7412, arXiv.org, revised Nov 2015.
  38. Eduardo Abi Jaber, 2020. "The Laplace transform of the integrated Volterra Wishart process," Working Papers hal-02367200, HAL.
  39. Christa Cuchiero & Martin Keller-Ressel & Eberhard Mayerhofer & Josef Teichmann, 2016. "Affine Processes on Symmetric Cones," Journal of Theoretical Probability, Springer, vol. 29(2), pages 359-422, June.
  40. Abi Jaber, Eduardo & Bouchard, Bruno & Illand, Camille, 2019. "Stochastic invariance of closed sets with non-Lipschitz coefficients," Stochastic Processes and their Applications, Elsevier, vol. 129(5), pages 1726-1748.
  41. Nicole Branger & Matthias Muck & Stefan Weisheit, 2019. "Correlation risk and international portfolio choice," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 128-146, January.
  42. Christa Cuchiero & Josef Teichmann, 2019. "Markovian lifts of positive semidefinite affine Volterra-type processes," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 407-448, December.
  43. Eduardo Abi Jaber & Bruno Bouchard & Camille Illand & Eduardo Abi Jaber, 2018. "Stochastic invariance of closed sets with non-Lipschitz coefficients," Post-Print hal-01349639, HAL.
  44. Da Fonseca, José, 2024. "Pricing guaranteed annuity options in a linear-rational Wishart mortality model," Insurance: Mathematics and Economics, Elsevier, vol. 115(C), pages 122-131.
  45. Benth, Fred Espen & Karbach, Sven, 2023. "Multivariate continuous-time autoregressive moving-average processes on cones," Stochastic Processes and their Applications, Elsevier, vol. 162(C), pages 299-337.
  46. Cuchiero, Christa & Di Persio, Luca & Guida, Francesco & Svaluto-Ferro, Sara, 2024. "Measure-valued affine and polynomial diffusions," Stochastic Processes and their Applications, Elsevier, vol. 175(C).
  47. Kang, Chulmin & Kang, Wanmo, 2013. "Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices," Stochastic Processes and their Applications, Elsevier, vol. 123(6), pages 2419-2445.
  48. Christa Cuchiero & Josef Teichmann, 2019. "Markovian lifts of positive semidefinite affine Volterra type processes," Papers 1907.01917, arXiv.org, revised Sep 2019.
  49. Gonon, Lukas & Teichmann, Josef, 2020. "Linearized filtering of affine processes using stochastic Riccati equations," Stochastic Processes and their Applications, Elsevier, vol. 130(1), pages 394-430.
  50. Alfonsi, Aurélien & Kebaier, Ahmed & Rey, Clément, 2016. "Maximum likelihood estimation for Wishart processes," Stochastic Processes and their Applications, Elsevier, vol. 126(11), pages 3243-3282.
  51. Eduardo Abi Jaber, 2022. "The Laplace transform of the integrated Volterra Wishart process," Post-Print hal-02367200, HAL.
  52. Andrea Macrina & David Skovmand, 2020. "Rational Savings Account Models for Backward-Looking Interest Rate Benchmarks," Risks, MDPI, vol. 8(1), pages 1-18, March.
  53. Mayerhofer, Eberhard, 2012. "Affine processes on positive semidefinite d×d matrices have jumps of finite variation in dimension d>1," Stochastic Processes and their Applications, Elsevier, vol. 122(10), pages 3445-3459.
  54. Archil Gulisashvili & Josef Teichmann, 2014. "The G\"{a}rtner-Ellis theorem, homogenization, and affine processes," Papers 1406.3716, arXiv.org.
  55. Misha Beek & Michel Mandjes & Peter Spreij & Erik Winands, 2020. "Regime switching affine processes with applications to finance," Finance and Stochastics, Springer, vol. 24(2), pages 309-333, April.
  56. Antonis Papapantoleon, 2011. "Computation of copulas by Fourier methods," Papers 1108.1216, arXiv.org, revised Jun 2014.
  57. Christa Cuchiero & Sara Svaluto-Ferro & Josef Teichmann, 2023. "Signature SDEs from an affine and polynomial perspective," Papers 2302.01362, arXiv.org, revised Feb 2025.
  58. Friesen, Martin & Jin, Peng & Rüdiger, Barbara, 2020. "Existence of densities for multi-type continuous-state branching processes with immigration," Stochastic Processes and their Applications, Elsevier, vol. 130(9), pages 5426-5452.
  59. Mayerhofer, Eberhard & Stelzer, Robert & Vestweber, Johanna, 2020. "Geometric ergodicity of affine processes on cones," Stochastic Processes and their Applications, Elsevier, vol. 130(7), pages 4141-4173.
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